Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Sep 26 (1D) | Sep 29 (4D) | Sep 30 (5D) | Oct 01 (6D) | Oct 02 (7D) | Oct 03 (8D) | Oct 06 (11D) | Oct 07 (12D) | Oct 08 (13D) | Oct 09 (14D) | Oct 17 (22D) | Oct 24 (29D) | Oct 31 (36D) | Nov 07 (43D) | Nov 14 (50D) | Nov 21 (57D) | Nov 28 (64D) | Dec 05 (71D) | Dec 12 (78D) | Dec 19 (85D) | Dec 26 (92D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 655.076 | 649.051 | 647.629 | 646.343 | 645.161 | 644.06 | 641.119 | 640.231 | 639.378 | 638.558 | 632.843 | 628.657 | 624.953 | 621.595 | 618.501 | 615.616 | 612.904 | 610.337 | 607.893 | 605.557 | 603.315 |
| upper | 667.124 | 673.149 | 674.571 | 675.857 | 677.039 | 678.14 | 681.081 | 681.969 | 682.822 | 683.642 | 689.357 | 693.543 | 697.247 | 700.605 | 703.699 | 706.584 | 709.296 | 711.863 | 714.307 | 716.643 | 718.885 |
| expected move | 6.024 | 12.049 | 13.471 | 14.757 | 15.939 | 17.04 | 19.981 | 20.869 | 21.722 | 22.542 | 28.257 | 32.443 | 36.147 | 39.505 | 42.599 | 45.484 | 48.196 | 50.763 | 53.207 | 55.543 | 57.785 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
